Hubalek, Friedrich; Sgarra, Carlo On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps. (English) Zbl 1177.60068 Stochastic Processes Appl. 119, No. 7, 2137-2157 (2009). Reviewer: Pavel Gapeev (London) MSC: 60J75 60J25 60G44 60H10 91B70 PDF BibTeX XML Cite \textit{F. Hubalek} and \textit{C. Sgarra}, Stochastic Processes Appl. 119, No. 7, 2137--2157 (2009; Zbl 1177.60068) Full Text: DOI arXiv OpenURL
Zhu, Jinxia; Yang, Hailiang On differentiability of ruin functions under Markov-modulated models. (English) Zbl 1168.91421 Stochastic Processes Appl. 119, No. 5, 1673-1695 (2009). MSC: 91B30 PDF BibTeX XML Cite \textit{J. Zhu} and \textit{H. Yang}, Stochastic Processes Appl. 119, No. 5, 1673--1695 (2009; Zbl 1168.91421) Full Text: DOI OpenURL
Egami, Masahiko; Young, Virginia R. Optimal reinsurance strategy under fixed cost and delay. (English) Zbl 1172.62035 Stochastic Processes Appl. 119, No. 3, 1015-1034 (2009). Reviewer: Pavel Gapeev (London) MSC: 62P05 62L15 93E20 91B30 60G40 60J70 PDF BibTeX XML Cite \textit{M. Egami} and \textit{V. R. Young}, Stochastic Processes Appl. 119, No. 3, 1015--1034 (2009; Zbl 1172.62035) Full Text: DOI OpenURL
Yuen, Kam C.; Wang, Guojing; Wu, Rong On the renewal risk process with stochastic interest. (English) Zbl 1109.60071 Stochastic Processes Appl. 116, No. 10, 1496-1510 (2006). Reviewer: Alexandra Rodkina (Kingston/Jamaica) MSC: 60K10 91B30 60K05 PDF BibTeX XML Cite \textit{K. C. Yuen} et al., Stochastic Processes Appl. 116, No. 10, 1496--1510 (2006; Zbl 1109.60071) Full Text: DOI OpenURL
Ng, Andrew C. Y.; Yang, Hailiang On the joint distribution of surplus before and after ruin under a Markovian regime switching model. (English) Zbl 1093.60051 Stochastic Processes Appl. 116, No. 2, 244-266 (2006). Reviewer: Laszlo Lakatos (Budapest) MSC: 60J27 91B30 PDF BibTeX XML Cite \textit{A. C. Y. Ng} and \textit{H. Yang}, Stochastic Processes Appl. 116, No. 2, 244--266 (2006; Zbl 1093.60051) Full Text: DOI Link OpenURL
Florin, Avram; Chan, Terence; Usabel, Miguel On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr’s approximation for American puts. (English) Zbl 1060.91061 Stochastic Processes Appl. 100, No. 1-2, 75-107 (2002). Reviewer: Alexis Derviz (Praha) MSC: 91B28 60G40 60G48 60G55 PDF BibTeX XML Cite \textit{A. Florin} et al., Stochastic Processes Appl. 100, No. 1--2, 75--107 (2002; Zbl 1060.91061) Full Text: DOI OpenURL